资产收益率与通货膨胀率关联性的实证分析
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财经研究 2004 年 第 30 卷第 01 期, 页码：125 - 130
摘要
参考文献
摘要
通过研究股票实际收益率与通货膨胀波动性之间的关系,可以判断股票市场波动和宏观经济运行之间的联系。我们检验发现,通货膨胀率的波动能够影响股票实际收益率的变化,这说明价格水平变化不仅影响消费品之间的替代,也影响投资品之间的替代。因此,通过积极货币政策缓解通货紧缩压力,可以增强股票市场的规模活性并形成收益率上升的稳定预期。
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[2] Gallagher,L A. and Taylor,M. P. The stock return-inflation puzzle revisited[J]. Economic Letters,2002, (75) :147-165．
[3] Kevin B. G. and Perry, M. J. On inflation and inflation uncertainty in G7 countries [J]. Journal of International Money and Finance,1998,(17) :671-689．
[4] Fama,E Stock returns, real activeity, inflation, and money[J]. American Economic Review, 1981 ,(71) :545-565．
[5] Kaul,G. Stock returns and inflation: the role of the monetary sector[J]. Journal of Financial Economics, 1987, (18) : 253-276．
[6] Mills,T. C. The econometric modelling of financial time series [M]. Cambridge:Cambridge University Press, 1999．
引用本文
刘金全, 王风云. 资产收益率与通货膨胀率关联性的实证分析[J]. 财经研究, 2004, 30(1): 125–130.
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